How to change appearance of an Empty
Change a single Empty


Select the desired Empty
Go the Properties Panel 
Click on the Data tab
Change the Display property 




Change multiple Empties


Select the desired Empties
Change the Display property (this will only effect the active Empty)
Right-click RMB on the Display property and choose: Copy To Selected



You can also adjust the size of the Empties in exactly the same way

Note: You can also have other 'object types' than Empties in your selection while changing the Display Type. Copy To Selected will only effect objects of the same 'object type'.